Optimal Asset Allocation for a Mean-Variance-CVaR Insurer under Regulatory Constraints

Yu  Shi; Xia  Zhao; Xin  Yan

doi:10.4236/ajibm.2019.97103

Yu Shi, Xia Zhao, Xin Yan

Abstract:

In this paper, we introduce the mean-variance-CVaR criteria into the study of asset allocation for insurers. Considering that the financial market consists of one risk-free asset and multiple risky assets with regulatory constraints, an optimization problem is established for an insurer with underwriting business. Based on practical financial and insurance data, an empirical study is carried out. The results show that the mean-variance-CVaR model is able to provide more potential investment strategies for an insurer. The regulatory policy released by China Insurance Regulatory Commission plays a key role in controlling investment risk for Chinese insurers.

Keywords: Mean-Variance-CVaR Criteria, Optimal Asset Allocation, Insurance, Regulatory Constraints

Cite this paper: Shi, Y. , Zhao, X. and Yan, X. (2019) Optimal Asset Allocation for a Mean-Variance-CVaR Insurer under Regulatory Constraints. American Journal of Industrial and Business Management, 9, 1568-1580. doi: 10.4236/ajibm.2019.97103.

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